Options Quant Researcher

We’re looking for a Quant Researcher with hands-on experience applying volatility models in live trading in TradFi markets. 

We expect the candidate to:

• Have practical experience calibrating volatility surfaces on real market data
  • Including handling gaps, latency issues and so on to effectively use realistic data available in the market
  • MFT’ish research is must. HFT is nice to have.
• Understand how to enforce smoothness, arbitrage-free conditions, and temporal stability
• Be able to tune and debug models under realistic market conditions – including bid/ask spreads, noise, and incomplete markets
• Design and implement logic for position-driven dynamic surface shaping, including:
  • How current portfolio Greeks (vega, gamma, skew) should influence surface parameters such as skew, curvature, and wing behavior
  • Hands-on experience is required for dynamically adapting surface shape based on current exposure
• Ability to identify, model, and mitigate residual noise in implied volatility surfaces, especially:
  • near expiry,
  • around illiquid strikes,
  • or in event-driven conditions.

• Python (mandatory), with strong use of NumPy, pandas, matplotlib, SciPy, and relevant optimization/ML libraries
• Familiarity with standard quant libraries (QuantLib, or custom volatility tools)
• PyTorch / TensorFlow experience (strongly preferred)
• Experience with NSE options and/or other TradFi derivatives with margin impact is a major plus.

Nice to Have:

• Familiarity with practical heuristics for surface management
• Working (not just academic) experience applying ML/DL models (e.g., PyTorch, TensorFlow) to this problem
• Understanding of model explainability and risk of overfitting in execution-sensitive environments
• Direct experience in spot/futures vs. options arbitrage

What we offer:

• Experience a modern international technology company without the burden of bureaucracy.

• Collaborate with industry-leading professionals, including former employees of Tower, DRW, Broadridge, Credit Suisse, and more.

• Enjoy excellent opportunities for professional growth and self-realization.

• Work remotely from anywhere in the world with a flexible schedule.

• Receive compensation for health insurance, sports activities, and non-professional training.